Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1267
Annualized Std Dev 0.1736
Annualized Sharpe (Rf=0%) 0.7297

Row

Daily Return Statistics

Close
Observations 2862.0000
NAs 1.0000
Minimum -0.1193
Quartile 1 -0.0035
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0005
Quartile 3 0.0055
Maximum 0.0934
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0001
Stdev 0.0109
Skewness -0.6508
Kurtosis 15.1017

Downside Risk

Close
Semi Deviation 0.0081
Gain Deviation 0.0076
Loss Deviation 0.0093
Downside Deviation (MAR=210%) 0.0126
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.3433
Historical VaR (95%) -0.0163
Historical ES (95%) -0.0269
Modified VaR (95%) -0.0161
Modified ES (95%) -0.0303
From Trough To Depth Length To Trough Recovery
2020-02-20 2020-03-23 2020-08-12 -0.3433 122 23 99
2018-09-21 2018-12-24 2019-04-29 -0.2025 150 65 85
2011-05-02 2011-10-03 2012-02-23 -0.2004 206 108 98
2010-04-26 2010-07-02 2010-11-04 -0.1589 136 49 87
2015-05-22 2016-02-11 2016-07-12 -0.1527 287 183 104

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA NA NA 1.1 -1 0.1
2010 1.5 0.9 0.7 -1.6 -1.7 -0.3 0.1 3 0.4 0 2.1 0 5
2011 1.5 -1.6 0.5 0.2 -2.2 1.5 -0.2 -1.2 -2.5 -2.9 -0.1 -0.3 -7.3
2012 1 0.7 0.4 0.5 -2.6 2.5 -0.3 0.5 0.2 1.1 0 1.8 5.8
2013 1 0.3 -0.4 -0.9 -1.5 0.7 1.2 -0.4 0.9 0.3 -0.3 0.4 1.2
2014 -0.6 0.2 0.8 -0.1 0.2 0.6 -0.2 0.3 -1.3 1.1 -0.7 -1.1 -0.9
2015 -1.2 -0.4 -0.4 1 0.2 0.7 -0.2 -3 0.3 -0.5 0.9 -0.9 -3.5
2016 0 2.4 0.6 -0.5 0.2 0.3 -0.1 0 0.8 -0.7 -0.3 -0.4 2.2
2017 0 1.4 -0.2 0.3 0.8 0.2 0.2 0.2 0.3 0.2 -0.1 -0.4 3
2018 -0.1 -1.3 1.4 0.2 1.1 0.1 -0.1 0 0.3 1.1 0.7 1 4.4
2019 0.2 0.6 1.2 -0.7 -1.3 0.7 -0.9 0 -1.3 0.9 -0.3 0.2 -0.6
2020 -1.8 -0.6 -4.5 -2.8 0.6 0.6 0.7 0.9 0.8 -1.1 1 0.4 -5.8
2021 1.7 2.5 -0.1 NA NA NA NA NA NA NA NA NA 4.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy  ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>  <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-11-03  24.5 SPY    105. 0.0032  -0.0166   0.0061   0.0422   0.0776   -0.235  -0.0784 GLD    106.  0.0241   0.0453
2 2009-11-04  24.6 SPY    105. 0.0026   0.0049  -0.0056   0.0504   0.0449   -0.233  -0.0875 GLD    107.  0.006    0.0632
3 2009-11-05  25.1 SPY    107. 0.0184   0.0019   0.0099   0.0558   0.111    -0.217  -0.0832 GLD    107. -0.0011   0.0418
4 2009-11-06  25.1 SPY    107. 0.0026   0.0345   0.0049   0.0608   0.179    -0.224  -0.0865 GLD    107.  0.0042   0.0478
5 2009-11-09  25.7 SPY    110. 0.0228   0.0503   0.0215   0.0987   0.167    -0.210  -0.0644 GLD    108.  0.0071   0.0408
6 2009-11-10  25.7 SPY    110. 0.0002   0.0472   0.0177   0.0872   0.183    -0.211  -0.0624 GLD    108.  0.0018   0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart